I mean adsl modem capabilities.
The simple answers there are:
There are different DSL protocols, not every provider uses the same ones. That would add complexity and variation.
Not everyone uses DSL. Many use Cable, or FiOS, or other technologies that just give them a Ethernet port to plug in to. Again, adding complexity and variation.
To cover the US alone, if they were to go that route, they'd need to offer at least five different base stations (they'd still have to offer at least one "basic" model, because nobody would want to pay the extra $40+ to add the modem.)
Back when the original "UFO" AirPort base station came out, it made sense to include a dial-up modem. A majority of people were still on dial-up, and dial-up modems were cheap ($10 or less at Apple's bulk cost.) But for a company that makes very few individual models, having DSL/Cable/FiOS modems built in just doesn't make sense. Even Linksys stopped doing that a few years ago.